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Time-varying neutral interest rate : the case of Brazil

Author: Roberto Perrelli; Shaun K Roache; International Monetary Fund. Strategy, Policy, and Review Department.; International Monetary Fund. Monetary and Capital Markets Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2014.
Series: IMF working paper, WP/14/84.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
"Emerging markets have experienced a sizeable decline in their neutral real interest rates until recently. In this paper we try to identify the main factors that contributed to it, with a focus on Brazil. We estimate an interval for Brazil's time-varying neutral rate based on a range of structural and econometric models. We assess the implications of incorrectly estimating a time-varying neutral rate using a small  Read more...
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Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Roberto Perrelli; Shaun K Roache; International Monetary Fund. Strategy, Policy, and Review Department.; International Monetary Fund. Monetary and Capital Markets Department.
OCLC Number: 881128068
Notes: "Strategy, Policy, and Review and Monetary and Capital Markets Departments."
"May 2014"--Page 2 of pdf.
Description: 1 online resource (32 pages) : color illustrations.
Series Title: IMF working paper, WP/14/84.
Responsibility: Roberto Perrelli and Shaun K. Roache.

Abstract:

"Emerging markets have experienced a sizeable decline in their neutral real interest rates until recently. In this paper we try to identify the main factors that contributed to it, with a focus on Brazil. We estimate an interval for Brazil's time-varying neutral rate based on a range of structural and econometric models. We assess the implications of incorrectly estimating a time-varying neutral rate using a small structural model with a simple monetary policy instrument rule. We find that policy prescriptions are very different when facing uncertainty of neutral rate and of output gap. Our result contrasts sharply with Orphanides (2002), suggesting that the best response to neutral rate uncertainty is to ensure policy remains highly sensitive to inflation and output variations"--Abstract.

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